Tagged Questions

I have 2 interest rate curves (LIBOR 3M and OIS). I want to create stress scenarios for those two curves.
Is it possible that some scenarios will make my term structure arbitrageable?
How can I test ...

I need to de-seasonalize Nat Gas futures data for a project and am hoping to get good suggestions.
As we all know natural gas futures are priced higher for the winter months and to analyze/model the ...

PCA seems to be very popular in dimension reduction applications and for extracting the top PCs which explain the data. One such application in futures is on the term structure to obtain the level, ...

I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now) in QuantLib. ...